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Time-series analysis of macroeconomic and financial data sales dynamics in “Grendaria”
Time-Series Econometrics, FAU
Oct 2024 – Feb 2025
• Built a full R Markdown time-series pipeline modelling sales and
GDP-growth dynamics across FDL and ADL specifications, deriving impact,
interim, and long-run multipliers
• Selected and estimated an ARMA(1,3) via AIC/AICc/BIC search; evaluated
accuracy through recursive out-of-sample 4-quarter forecasts (RMSE/MAE/
MAPE) against a naïve benchmark
• Tested stationarity with ADF and KPSS; fit a GARCH volatility model,
diagnosing volatility clustering and a persistence parameter of 0.991 with Ljung–
Box / Shapiro–Wilk residual checks